The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis

Awartani, B., Abdoh, H. and Maghyereh, A.I. 2020. The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis. International Economics. Advanced online publication. doi:10.1016/j.inteco.2020.01.004

TitleThe effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis
TypeJournal article
AuthorsAwartani, B., Abdoh, H. and Maghyereh, A.I.
Abstract

In this paper, we use wavelet coherence analysis to find that sentiment has a significant effect on crude oil returns that lasts over various investment horizons. While oil returns are positively associated with the sentiments of optimism and trust, it is negatively linked to fear and anger. These relations are more pronounced over the medium and the long term. Additionally, we find that short-term oil returns are relatively more sentiment-sensitive during turbulent periods than in normal conditions. These results highlight the importance of sentiment and investor psychology in the crude oil market.

KeywordsCo-movement
Crude oil
Emotions sentiments
Wavelet analysis
JournalInternational Economics
ISSN2110-7017
Year2020
PublisherElsevier
Accepted author manuscript
License
CC BY-NC-ND 4.0
File Access Level
Open (open metadata and files)
Digital Object Identifier (DOI)doi:10.1016/j.inteco.2020.01.004
Publication dates
Published online04 Feb 2020

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